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Jingnan Chen, Liming Feng, Jiming Peng, Yinyu Ye. Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact. Operations Research, 62(1):195-206, 2014. [doi]
Possibly Related PublicationsThe following publications are possibly variants of this publication: Optimal portfolio deleveraging under market impact and margin restrictionsChanaka Edirisinghe 0001, Jaehwan Jeong, Jingnan Chen. eor, 294(2):746-759, 2021. [doi] Optimal deleveraging with nonlinear temporary price impactJingnan Chen, Liming Feng, Jiming Peng. eor, 244(1):240-247, 2015. [doi]
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